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Sierra Chart continuous contract rollover not back-adjusting DTN IQFeed data correctly

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[2023-06-26 10:27:34] #1 [Go To First Post]
User222959 - Posts: 15
When I try to load EBU23 as a CBV chart on DTN IQFeed, it appears SC is not loading/backadjusting prior contracts correctly. WTI from your Denali data feed works fine, but rollovers on Brent on IQFeed aren't. I want a continuous time series that looks similar to the IQFeed calculated continuous rolling contract EB#C. The reason I can't just use this is because I want rollover based on volume traded instead of day before expiry (EB#C IQFeed date based method). Something is not right because the amount of volume in the SC calculated continuous contract is much less than the EB#C comparison. I have tried a number of ways around this, including delete/download of all data, restart of computer and connecting/disconnecting from IQFeed with full redownload, tried different symbols, checked session times and redownloaded latest SC update. I spoke to DTN and they said it was not a problem on their end and directed me to contact SC. Could SC support compare IQFeed EB#C with SC continuous volume based difference back adjusted EBU23 [CBV] and see if you guys get the same problem? Other attempts: Charts appear to be rolling contracts on the wrong date and missing data (using date based rollover also couldn't imitate IQFeed's EB#C)


EB#C Example Time Series.PNG / V - Attached On 2023-06-26 10:24:48 UTC - Size: 22.26 KB - 82 views EBU23 [CBV] Example Time Series.PNG / V - Attached On 2023-06-26 10:24:54 UTC - Size: 21.84 KB - 78 views

[2023-06-26 13:37:30] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
Follow the instructions here to update the Symbol Settings: Global Symbol Settings: Update Global Symbol Settings We made a change to the rollover rules. After that reload the chart with Chart >> Reload and Recalculate. If that does not help, then re-download the data: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-06-26 13:44:35

[2023-06-27 08:37:32] #3 [Go To First Post]
User222959 - Posts: 15
Have tried updating global symbol settings and deleted and downloaded all the data, still getting the same results. The aggregated EBU23[CBV] doesn't have nearly as much volume as the IQFeed EB#C, picture attached looks same as before. I'd be interested to know if you have been able to reproduce EB#C on your end with volume bars? Date Time Of Last Edit: 2023-06-27 08:38:09


EBU23 [CBV] After updated global settings and redownload.PNG / V - Attached On 2023-06-27 08:35:21 UTC - Size: 29.44 KB - 80 views

[2023-06-28 09:02:40] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
We will not be spending further time on this. We cannot help with DTN IQ Feed data. You need to use IQ Feed continuous contract symbols if you have any problem with the Continuous Futures Contract functionality in Sierra Chart in combination with IQ Feed data. Do you see any problem with the Intraday data for BRN ICE EU Futures when using the SC Data-All Services Service? that date of course is going to be end of day delayed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-06-28 09:02:41] #5 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
We will not be spending further time on this. We cannot help with DTN IQ Feed data. You need to use IQ Feed continuous contract symbols if you have any problem with the Continuous Futures Contract functionality in Sierra Chart in combination with IQ Feed data. Do you see any problem with the Intraday data for BRN ICE EU Futures when using the SC Data-All Services Service? Although that data will be end of day delayed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-06-28 09:12:39

[2023-06-28 10:40:12] #6 [Go To First Post]
User222959 - Posts: 15
BRNU23 on SC Data/Denali feed looks as expected in same chartbook, the issue with the continuous futures contract function comes on DTN IQFeed data in SC. Does it say anywhere that this functionality is not working as expected? I do use the IQFeed continuous contract symbols, but I need back adjusted continuous contracts rolled over on volume. The volume printed in the last couple of days of the month (before expiry) is rubbish on IQFeed EB#C as it has all moved to the following months contract- EB#C only rolls on day before expiry date. Delayed SC Data feed is fine while backtesting, I need to run analysis and trade real-time based on volume analysis of continuous contract data. Date Time Of Last Edit: 2023-06-28 10:44:28

[2023-06-29 17:26:27] #7 [Go To First Post]
User222959 - Posts: 15
I don't understand the point of offering IQFeed if SC can't maintain it properly. I've tested BRN on SC Data in the same chartbook, showing that the continuous contract function worked fine, and that it isn't working with IQFeed. I also use Multicharts, which does not have a problem with rolling continuous contracts correctly on volume using IQFeed. It would seem this is a problem on your end, and you could at least look into it. Date Time Of Last Edit: 2023-06-29 17:28:49

[2023-06-30 14:51:53] #8 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
The Continuous Futures Contract functionality was not intended to be used with DTN IQ Feed data since they have their own continuous futures symbols that we expect users to be using: I don't understand the point of offering IQFeed if SC can't maintain it properly. We will look at the data from DTN, and see what the issue might be. Does that program actually create its own continuous futures charts, from multiple individual contract months: I also use Multicharts, which does not have a problem with rolling continuous contracts correctly on volume using IQFeed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-06-30 14:52:54

[2023-06-30 16:41:07] #9 [Go To First Post]
User222959 - Posts: 15
As I've explained there are limitations with trading IQFeed's expiry rolling contract when using volume based analysis with some lookback. Without rolling over the data at the appropriate time, it creates blind spots where you aren't even looking at the most traded contracts price. It's far superior if you could offer continuous contract functionality that works for rolling on the desired dates and volume on IQFeed contracts. Thank you. Worth watching out for ICE EU/DTN IQFeed only allowing download of their complete data outside market hours. Yes Multicharts creates its own continuous futures charts from individual contracts using IQFeed, with options to back adjust on difference and roll on volume or specific date.

[2023-07-07 14:08:01] #10 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
Sorry for the delay. We will be spending time on this today. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-07 16:29:00] #11 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
This is what we want you to do: Follow the instructions here to update the Symbol Settings: Global Symbol Settings: Update Global Symbol Settings Set the Intraday Data Storage Time Unit to 1 Minute (Temporarily): Data/Trade Service Settings: Intraday Data Storage Time Unit (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Settings) Fully re-download the data for all contract months in the chart: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data The above applies to when using IQ Feed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-07-07 16:29:37

[2023-07-12 08:32:03] #12 [Go To First Post]
User222959 - Posts: 15
Apologies, I was on holiday and just got back. Having followed each of the steps I still have the same problem where the contracts do not appear to be back adjusting correctly, image attached of graph and settings. Can we arrange a call to go through this?


After SC Instructions 12_07_23.PNG / V - Attached On 2023-07-12 07:56:43 UTC - Size: 77.93 KB - 73 views After SC Instructions 2 12_07_23.PNG / V - Attached On 2023-07-12 07:58:22 UTC - Size: 21.37 KB - 76 views

[2023-07-12 09:01:19] #13 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
Yes we can have a call. When is a good time? Make sure your current telephone number is set here: https://www.sierrachart.com/UserControlPanel.php?page=ManageAccountInfo Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-12 09:28:57] #14 [Go To First Post]
User222959 - Posts: 15
Thanks free anytime this morning or tomorrow until 12.30 noon UK? Telephone number on account is good. Date Time Of Last Edit: 2023-07-12 12:44:12

[2023-07-12 13:39:15] #15 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
We apologize we could not call you in your morning. US hours are going to be best but we will try tomorrow. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-12 13:46:09] #16 [Go To First Post]
User222959 - Posts: 15
Ok, I can do US hours but please let me know in advanced when you plan to call.

[2023-07-12 13:55:40] #17 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
We can call now or this afternoon. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-07-13 09:22:48] #18 [Go To First Post]
User222959 - Posts: 15
Free apart from 10:30-11am today? Please let me know ahead of time if you call in US hours.

[2023-07-13 11:38:21] #19 [Go To First Post]
User222959 - Posts: 15
Free for a call back now, sorry meeting dragged on when you first called.

[2023-07-13 15:09:00] #20 [Go To First Post]
Sierra_Chart Engineering - Posts: 17198
User has been called, issue resolved. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

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